股票報酬率與交易量的關係，不僅說明了股票市場的動態結構及效率性，同時亦說明內部訊息對於整體市場的影響。討論股價波動的相關文獻中，顯示出中額交易、交易頻繁市場中可能包含內部訊息交易，因而推動股價變動。本篇論文與之前文獻不同之處在於，我們將交易型態區分為向上、向下、無方向三種方向類型，作為訊息不對稱與相異資訊解讀之代理變數，並進一步配合其他三個可能推動股價的要素，包含交易額大小、市場交易頻繁程度、投資者的類型，分析股價波動主要係由何種型態之交易所推動，並研究各因素間是否存在交互作用。本研究參考Barclay and Warner(1993)驗證之隱藏性交易假說之方法，比較分析美國TORQ資料庫中樣本公司之累積股價波動比例與累積交易次數比例。實證結果發現，股價波動主要都是由具方向性之交易搭配中額交易、交易頻繁市場、機構投資人所推動，此結果顯示出股價波動主要是由訊息不對稱所引起而非相異資訊解讀所導致。本篇論文研究樣本並不侷限於股價報酬高於市場報酬的公司(隱含有內部交易存在)，因此結論更具一般性。

The relationship between stock return and volume shows not only the dynamic structure of the stock market, but also the influence of inside information on the market. Recent empirical research provides evidence that private information revealed through trading is largely responsible for volatility, and it is medium-size trades and thick-market period that may contain inside trading and may in turn move the price. Different from previous studies, our study classifies trades into three directions including upward, downward and unidirectional. Coupled with other factors, our study further tries to find out what kind of trades move stock price in different categories and to gain a clear insight into whether there is an interaction effect between these factors.

This paper follows the method of Barclay and Warner (1993) and compares the proportion of cumulative price change with the proportion of the cumulative trades. However, we define price change as the absolute value of the trade price minus the price of the previous trade which is different from the definition of Barclay and Warner’s. In an effort to enrich our understanding of trades that move stock price, we classify trades in TORQ database by four factors including trade sizes, market thickness, identity of investors and directions of stock price. Our results reveal that upward-direction trades display the most disproportionately largest percentage of cumulative price changes relative to their percentage of all trades.

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